Warburg Multi Smart Beta Factor Skyline EN
Автор: M.M.Warburg & CO
Загружено: 2018-08-31
Просмотров: 63
Описание:
Smart Beta is a different term for factor investing. Ultimately, stocks are not weighted based on their market capitalization but based on fundamental and technical characteristics such as balance sheet quality or volatility. There is impressive empirical evidence, that over longer periods of time such factor portfolios bear more attractive properties than the benchmark or randomly generated portfolios. It is definitely reasonable to combine different factors instead of selecting a single one. However, the devil is in the details.
It is suboptimal to invest simultaneously in different factor-portfolios. Single-factor portfolios are constructed by producing the highest exposure to one single factor . Nevertheless there is also an exposure to the remaining factors – but uncontrolled. If single-factors-portfolios are combined, the interdependencies lead to dilution effects. A reason for this are conflicts of objectives between the characteristics of different factor portfolios.
As a solution Warburg Multi Smart Beta is optimized on portfolio level, with the result that the portfolio is highly and especially equally exposed to all factors. Our video explains, how those conflicts of objectives vary as time goes by and how we handle these.
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